Multi-scale tests for serial correlation
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Publication:473345
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- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An automatic portmanteau test for serial correlation
- Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- Consistent Testing for Serial Correlation of Unknown Form
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- Distribution of the Ratio of the Mean Square Successive Difference to the Variance
- Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- GARCH (1,1) processes are near epoch dependent
- Generalized autoregressive conditional heteroscedasticity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Inference For Autocorrelations Under Weak Assumptions
- Introduction to the Mathematical and Satistical Foundations of Econometrics
- Jump detection with wavelets for high-frequency financial time series
- Modelling the persistence of conditional variances
- ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
- On a measure of lack of fit in time series models
- On estimation of the wavelet variance
- On testing for serial correlation of unknown form using wavelet thresholding
- On the asymptotic power of the variance ratio test
- Orthonormal Bases of Compactly Supported Wavelets II. Variations on a Theme
- Some Limit Theorems for Stationary Processes
- Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- Testing That a Dependent Process Is Uncorrelated
- Testing for serial correlation of unknown form using wavelet methods
- Time series: Theory and methods
- UNIT ROOT TESTS WITH WAVELETS
- Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
Cited in
(17)- Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
- Multifrequency-Band Tests for White Noise Under Heteroscedasticity
- Model-free tests for series correlation in multivariate linear regression
- An automatic portmanteau test for serial correlation
- Improving daily value-at-risk forecasts: the relevance of short-run volatility for regulatory quality assessment
- Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area
- Statistical tests of distributional scaling properties for financial return series
- Wavelet goodness-of-fit test for dependent data
- Amplitude and phase synchronization of European business cycles: a wavelet approach
- Multivariate wavelet Whittle estimation in long-range dependence
- ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
- Estimation of long memory in volatility using wavelets
- Long-run wavelet-based correlation for financial time series
- Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
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